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題名:臺灣期貨對現貨市場的資訊傳遞效果分析
書刊名:財務金融學刊
作者:周雨田 引用關係李志宏 引用關係巫春洲
作者(外文):Chou, Ray Y.Lee, Jie-haunWu, Chun-chou
出版日期:2002
卷期:10:2
頁次:頁1-22
主題關鍵詞:GARCH模型資訊傳遞假說波動性期貨市場GARCH modelInformation transmission hypothesisVolatilityFutures market
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(12) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:12
  • 共同引用共同引用:0
  • 點閱點閱:31
期刊論文
1.周雨田(1988)。Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH。Journal of Applied Econometrics,3(4),279-294。  new window
2.Cox, C. C.(1976)。Futures Trading and Market Information。Journal of Political Economy,84,1215-1237。  new window
3.Antoniou, Antonios、Holmes, Phil(1995)。Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE-100 Stock Index Futures Contract Using GARCH。Journal of Banking & Finance,19(1),117-129。  new window
4.Edwards, Franklin R.(1988)。Does Futures Trading Increase Stock Market Volatility?。Financial Analysts Journal,44,63-69。  new window
5.Edwards, Franklin R.(1988)。Futures trading and cash market volatility: Stock index and interest rate futures。Journal of Futures Markets,8(4),421-439。  new window
6.Merton, Robert C.(1995)。Financial Innovation and the Management and Regulation of Financial Institutions。Journal of Banking and Finance,19,461-481。  new window
7.Aggarwal, R.(1988)。Stock Index Futures And Cash Market Volatility。Review of Futures Markets,7,290-299。  new window
8.Chang, Eric、Chou, Ray Y.、Nelling, Edward F.(2000)。Market Volatility and the Demand for Hedging in Stock Index Futures。Journal of Futures Markets,20(2),105-125。  new window
9.Figlewski, S.(1981)。Futures trading and volatility in the GNMA market。The Journal of Finance,36(2),445-456。  new window
10.Karpoff, Jonathan M.(1987)。The Relation between Price Changes and Trading Volume: A Survey。Journal of Financial and Quantitative Analysis,22(1),109-126。  new window
11.Odean, Terrance(1998)。Volume, Volatility, Price, and Profit When All Traders Are Above Average。Journal of Finance,53(6),1887-1934。  new window
12.Ljung, Greta M.、Box, George E. P.(1978)。On a Measure of Lack of Fit in Time Series Models。Biometrika,65(2),297-303。  new window
13.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics,31(3),307-327。  new window
14.Bollerslev, Tim、Chou, Ray Y.、Kroner, Kenneth F.(1992)。ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence。Journal of Econometrics,52(1/2),5-59。  new window
15.Ross, Stephen A.(1989)。Information and Volatility: The No-arbitrage Martingale Approach to Timing and Resolution Irrelevancy。The Journal of Finance,44(1),1-17。  new window
16.Parkinson, Michael(1980)。The extreme value method for estimating the variance of the rate of return。Journal of Business,53(1),61-65。  new window
17.Poterba, J. M.、Summers, L. H.(1986)。The Persistence of Volatility and Stock Market Fluctuations。The American Economic Review,76,1141-1151。  new window
18.蔡麗茹、郭福欽(1997)。臺灣股票報酬率波動之不對稱性、假日效果之研究-不對稱性P-GARCH模型實證應用。臺灣經濟學會年會論文集,1997,187-216。  延伸查詢new window
19.Yoo, J.、Maddala, G. S.(199104)。Risk Premia and Price Volatility in Futures Markets。The Journal of Futures Markets,11,165-178。  new window
20.Moriarty, E. J.、Tosini, P. A.(1985)。Futures Trading and the Price Volatility of GNMA Certificates-Further Evidence。The Journal of Futures Markets,5,633-641。  new window
21.Robinson, G.(1994)。The Effects of Futures Trading on Cash Market Volatility: Evidence from the London Stock Exchange。Review of Futures Markets,13,429-452。  new window
22.Simpson, W. G.、Ireland, T. C.(1982)。The Effect of Futures Trading on the Price Volatility of GNMA Securities。The Journal of Futures Markets,2,357-366。  new window
23.Wiggins, J. B.(1991)。Empirical Tests of the Bias and Efficiency of the Extreme-Value Variance Estimator for Common Stocks。The Journal of Business,64,417-432。  new window
會議論文
1.葉銀華、Tsai, F.(1996)。Trading volume and asymmetric impacts on volatility - An empirical study of GARCH model on Taiwan stock market。沒有紀錄。  new window
研究報告
1.Brady Commission(1988)。Report of the Presidential Task Force on Market Mechanisms。Washington, DC。  new window
圖書
1.O'Hara, Maureen(1995)。Market Microstructure Theory。Cambridge, Massachusetts:Basil Blackwell Publisher Inc.。  new window
 
 
 
 
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